FdHestonVanillaEngine (3) - Linux Manuals

FdHestonVanillaEngine: Finite-Differences Heston Vanilla Option engine.

Command to display FdHestonVanillaEngine manual in Linux: $ man 3 FdHestonVanillaEngine

NAME

QuantLib::FdHestonVanillaEngine - Finite-Differences Heston Vanilla Option engine.

SYNOPSIS

#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>

Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.

Public Member Functions

FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20)

void calculate () const

Detailed Description

Finite-Differences Heston Vanilla Option engine.

Tests

: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Author

Generated automatically by Doxygen for QuantLib from the source code.